Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0411
Annualized Std Dev 0.1981
Annualized Sharpe (Rf=0%) -0.2074

Row

Daily Return Statistics

Close
Observations 3456.0000
NAs 1.0000
Minimum -0.2536
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0045
Maximum 0.1219
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0125
Skewness -2.5080
Kurtosis 65.4658

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0092
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0095
Downside Deviation (0%) 0.0095
Maximum Drawdown 0.7117
Historical VaR (95%) -0.0149
Historical ES (95%) -0.0308
Modified VaR (95%) -0.0115
Modified ES (95%) -0.0115
From Trough To Depth Length To Trough Recovery
2007-07-19 2008-12-15 NA -0.7117 3443 357 NA
2007-06-29 2007-06-29 2007-07-18 -0.0025 13 1 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA -0.2 -3.8 1.8 0.8 -1 2.8 2.7 3
2008 0 0.3 0.3 0.6 0.5 -0.2 1.2 0.9 3.3 1.4 -4.4 1 4.8
2009 -0.4 -1.7 2.4 3.8 2.9 0.2 1 -0.2 -0.2 -3.5 1.1 0.3 5.7
2010 1 0.6 3 -1.1 1.7 1 0.1 0.5 1.1 0.3 1.2 -0.2 9.7
2011 0.4 0.9 -2 0.3 0.2 0.2 1.4 0.6 -1.3 -0.7 0.4 -0.3 0
2012 0.7 1.5 -0.6 0.5 -0.4 0.6 0.6 0.1 0 2.3 -1.3 -0.3 3.7
2013 -0.5 -0.3 -0.5 0.3 -1.6 -0.7 0.4 0.2 -0.3 0.2 0.1 -0.4 -3.1
2014 -1.1 0.3 -0.2 -0.1 0.1 -0.3 -0.4 0 -0.5 0.3 -0.2 2 -0.1
2015 -0.4 0.2 0.1 0 -0.2 0.6 0.6 -0.2 -0.5 0.6 0.6 -0.3 1.1
2016 0.3 0.9 -0.2 0.5 0.7 0.3 -0.3 0 0.6 -0.8 0.7 0.6 3.3
2017 0.2 0.9 0.1 0 0.4 1 0.4 0.1 0.5 -0.9 1 -0.6 3.2
2018 0.5 0.8 0.9 0.2 0.7 -0.3 -0.2 0.1 0.2 0.9 -0.2 -0.1 3.5
2019 0 0.3 1.7 -0.4 -1.3 -0.3 0.3 -0.2 -0.3 0.3 -0.2 0.1 0
2020 -0.6 -3 -3.5 -1.7 0.7 0.2 0 1.1 0 0.2 0.6 1 -5
2021 0.6 0.9 -0.4 NA NA NA NA NA NA NA NA NA 1.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-06-27  20   SPY    150.  1.42e-2  -0.0049  -0.0121   0.0605    0.203    0.321    0.542 GLD    63.7  0.0008   -0.0161
2 2007-06-28  20.0 SPY    150. -1.00e-4  -0.0105  -0.0202   0.0592    0.214    0.326    0.539 GLD    64.3  0.00930  -0.0046
3 2007-06-29  20   SPY    150.  3.00e-4  -0.0008  -0.0188   0.0594    0.206    0.320    0.513 GLD    64.3  0.0002   -0.0079
4 2007-07-02  20   SPY    152.  9.00e-3   0.0131  -0.0149   0.0677    0.193    0.325    0.534 GLD    65.0  0.0117    0.0092
5 2007-07-03  20.0 SPY    152.  3.60e-3   0.0273  -0.0114   0.0602    0.197    0.349    0.570 GLD    64.7 -0.0043    0.0176
6 2007-07-05  20   SPY    152. -1.10e-3   0.0118  -0.0085   0.0579    0.191    0.348    0.602 GLD    64.4 -0.0049    0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart